標(biāo)題: Titlebook: General Equilibrium Option Pricing Method: Theoretical and Empirical Study; Jian Chen Book 2018 Xiamen University Press and Springer Natur [打印本頁(yè)] 作者: Amalgam 時(shí)間: 2025-3-21 16:30
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書目名稱General Equilibrium Option Pricing Method: Theoretical and Empirical Study讀者反饋學(xué)科排名
作者: 膽小鬼 時(shí)間: 2025-3-21 20:45 作者: FUSE 時(shí)間: 2025-3-22 01:07 作者: 執(zhí) 時(shí)間: 2025-3-22 05:39
Fanning Out Preference and Option Pricingetter price the cross-sectional index options, a vast literature suggests more general models incorporating the stochastic volatility and the jump (see, for example, (Bates (1996). Review of Financial Studies 9, 69–108, Bates (2000). Journal of Econometrics 94, 181–238, Bakshi, Cao and Chen (1997). 作者: Commonplace 時(shí)間: 2025-3-22 11:51
Jump Size Distributions and Option Pricingeyness and the heavy-tailed asset return distribution implied by option prices. Both abnormalities are caused by the existence of rare disasters or tail events in asset returns. Rubinstein (J Financ 49, 771–818, 1994) find that the implied volatility across moneyness becomes skewed since October 198作者: brachial-plexus 時(shí)間: 2025-3-22 13:42
Risk Aversion Estimated from Volatility Spread strand focuses on the model-free realized volatility calculated by summing intraday high-frequency returns over short time intervals. The volatility constructed in this way is an unbiased and highly efficient estimator. This approach has been popularized by Andersen, Bollerslev, Diebold (Some like 作者: brachial-plexus 時(shí)間: 2025-3-22 20:23
Predictability of VRP: Hongkong Evidenceel family, i.e. GARCH type model proposed by Engle (1982) (Econometrica 50(4), 987–1007, 1982) and Bollerslev (1986) (J Econom 31, 307–327, 1986) is used to model the fat-tail and the volatility clustering of stock return. On the other hand, the stochastic volatility model (Heston in Rev Financ Stud作者: 神圣在玷污 時(shí)間: 2025-3-23 00:28 作者: 爆米花 時(shí)間: 2025-3-23 02:15
Predictability of VRP: A Comparison Studyf the underlying return, quantified by the return variance. When holding the market portfolio, however, an investor is also bearing the uncertainty of the variance itself. Just like the equity premium demanded by investors is the result of fear to the uncertainty of future returns, a variance risk p作者: expire 時(shí)間: 2025-3-23 07:12 作者: indignant 時(shí)間: 2025-3-23 09:55
Book 2018ile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require 作者: 箴言 時(shí)間: 2025-3-23 17:17
Péter Baranyi,Adam Csapo,Gyula Sallaianc Econom, 71:13–141,2004) further introduce a time-changed Lévy process that can be used to generate a wide class of jump-diffusion stochastic volatility models such as the variance-gamma jump model of Madan (Eur Financ Rev, 4:125–144, 1998) and the log stable model of Carr and Wu (J Financ, 58:753–777, 2003).作者: MELON 時(shí)間: 2025-3-23 19:48 作者: 獨(dú)特性 時(shí)間: 2025-3-23 22:57 作者: 無目標(biāo) 時(shí)間: 2025-3-24 05:00 作者: 澄清 時(shí)間: 2025-3-24 10:10 作者: 消瘦 時(shí)間: 2025-3-24 12:34
han the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns..978-981-13-3950-9978-981-10-7428-8作者: amplitude 時(shí)間: 2025-3-24 15:03
https://doi.org/10.1057/978-1-137-57895-26, 2000; Bakshi et?al. 1997; Pan 2002; Huang and Wu 2004; Carr and Wu 2004; Santa-Clara and Yan 2010)). These previous papers, however, price options under a partial equilibrium framework and assume an underlying return dynamics given exogenously.作者: Narcissist 時(shí)間: 2025-3-24 19:43 作者: 樂器演奏者 時(shí)間: 2025-3-24 23:35
Risk Aversion Estimated from Volatility Spreadtur Mark, 22, 627–648, 2002), Barndorff-Nielsen, Shephard (J R Stat Soc Ser B, 64, 2002), Barndorff-Nielsen, Shephard (Econometrica, 72, 885–925, 2004a), and Ebens (Realized stock volatility, working Paper, Johns Hopkins University, 1999). In parallel to the realized volatility measure, another stra作者: 處理 時(shí)間: 2025-3-25 06:06 作者: obstinate 時(shí)間: 2025-3-25 08:17
Predictability of VRP: Other International Evidenceof underlying returns. In a similar vein, Bollerslev et al. (J Econ, 160:102–118, 2011) assume an affine version of the stochastic volatility model in Heston (Rev Financ Stud, 6:327–343, 1993) and show that the variance risk premium is linearly related to the risk preference of individual agents. Ot作者: Water-Brash 時(shí)間: 2025-3-25 15:02
Predictability of VRP: A Comparison Studying returns. In a similar vein, Bollerslev (J Financ Quant Anal, 2013) assume an affine version of the stochastic volatility model as in Heston (Rev Financ Stud, 6:327–343, 1993) and show that the variance risk premium is linearly related to the risk aversion parameter. Other investigations in this 作者: 微枝末節(jié) 時(shí)間: 2025-3-25 16:18
General Equilibrium Option Pricing Method: Theoretical and Empirical Study作者: COLON 時(shí)間: 2025-3-25 20:21
General Equilibrium Option Pricing Method: Theoretical and Empirical Study978-981-10-7428-8作者: 小母馬 時(shí)間: 2025-3-26 00:41
Takayuki Kanda,Takahiro Miyashitatur Mark, 22, 627–648, 2002), Barndorff-Nielsen, Shephard (J R Stat Soc Ser B, 64, 2002), Barndorff-Nielsen, Shephard (Econometrica, 72, 885–925, 2004a), and Ebens (Realized stock volatility, working Paper, Johns Hopkins University, 1999). In parallel to the realized volatility measure, another stra作者: immunity 時(shí)間: 2025-3-26 04:59
Cognitive Neuroscience Robotics Bates would become inconsistent. Partially inspired by above issues, the model-free volatility approach, including realized volatility and model-free implied volatility, attracts a lot of research attention.作者: N防腐劑 時(shí)間: 2025-3-26 10:29 作者: Fretful 時(shí)間: 2025-3-26 14:32 作者: Isolate 時(shí)間: 2025-3-26 17:26 作者: 嘴唇可修剪 時(shí)間: 2025-3-26 23:33 作者: allude 時(shí)間: 2025-3-27 04:03
Péter Baranyi,Adam Csapo,Gyula Sallaiof Heston (Rev Financ Stud, 6:327–343, 1993) and the Poisson jump of Merton (J Financ Econ, 4:125–144, 1976). See for example, Bates (Rev Financ Stud, 9:69–108, 1996, J Econometr, 94:181–238, 2000) and Bakshi (J Financ, 52:2003–2049, 1997). Huang (J Financ, 59:1405–1439, 2004) and Carr and Wu (J Fin作者: 合適 時(shí)間: 2025-3-27 07:47 作者: VAN 時(shí)間: 2025-3-27 11:05
Konstruktivistische Kognitionsmodellierung,eyness and the heavy-tailed asset return distribution implied by option prices. Both abnormalities are caused by the existence of rare disasters or tail events in asset returns. Rubinstein (J Financ 49, 771–818, 1994) find that the implied volatility across moneyness becomes skewed since October 198作者: 新陳代謝 時(shí)間: 2025-3-27 13:49
Takayuki Kanda,Takahiro Miyashita strand focuses on the model-free realized volatility calculated by summing intraday high-frequency returns over short time intervals. The volatility constructed in this way is an unbiased and highly efficient estimator. This approach has been popularized by Andersen, Bollerslev, Diebold (Some like 作者: APEX 時(shí)間: 2025-3-27 21:32 作者: Anonymous 時(shí)間: 2025-3-28 00:50 作者: 印第安人 時(shí)間: 2025-3-28 05:49
https://doi.org/10.1007/978-3-662-52952-2f the underlying return, quantified by the return variance. When holding the market portfolio, however, an investor is also bearing the uncertainty of the variance itself. Just like the equity premium demanded by investors is the result of fear to the uncertainty of future returns, a variance risk p作者: GENRE 時(shí)間: 2025-3-28 09:09
,Gambler’s Fallacy and Hot Hand Fallacy,This section briefly introduces the market structure, the optimal choice problem, and the non-expected recursive utility in a continuous-time pure exchange economy.作者: 元音 時(shí)間: 2025-3-28 13:44
Extrahepatic Biliary Tract and Gallbladder,Resorting to the general equilibrium model based on the fanning preference, this book obtains the market risk premium, jump risk premium, variance risk premium, and covariance risk premium in equilibrium. In particular, all these risk premiums are controlled by both the risk aversion and the fanning effect.作者: 強(qiáng)化 時(shí)間: 2025-3-28 16:40
General Equilibrium Option Pricing ModelsThis section briefly introduces the market structure, the optimal choice problem, and the non-expected recursive utility in a continuous-time pure exchange economy.作者: 被詛咒的人 時(shí)間: 2025-3-28 20:42
ConclusionsResorting to the general equilibrium model based on the fanning preference, this book obtains the market risk premium, jump risk premium, variance risk premium, and covariance risk premium in equilibrium. In particular, all these risk premiums are controlled by both the risk aversion and the fanning effect.作者: 混亂生活 時(shí)間: 2025-3-29 01:21
Introduction to Cognitive Enhancement,e the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.作者: 假裝是我 時(shí)間: 2025-3-29 05:44 作者: 舔食 時(shí)間: 2025-3-29 09:22
Introductione the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.作者: Ophthalmoscope 時(shí)間: 2025-3-29 13:14
Simulation Comparisonstate price density and the pricing kernel are not unique. In order to price options in an incomplete market, either a candidate pricing kernel is used for the risk-neutral evaluation approach, or a general pricing framework built on the equilibrium exchange economy of Lucas (Econometrica, 46:1429–1445, 1978) is required.作者: 替代品 時(shí)間: 2025-3-29 18:30 作者: 恃強(qiáng)凌弱的人 時(shí)間: 2025-3-29 21:57
